% generated by python
\begin{longtable}{@{}llp{4cm}llll@{}}%
\caption{\captionchar} \label{tab:char} \\%
\toprule%
Feature&Description&Source&Information Source&Instrument Level&Information Set&Group\\%
\midrule%
\endfirsthead%
\multicolumn{7}{l}{Table \thetable \ from previous page}\\%
\midrule%
Feature&Description&Source&Information Source&Instrument Level&Information Set&Group\\%
\midrule%
\endhead%
\midrule%
\multicolumn{7}{r}{Continued on Next Page}\\%
\midrule%
\endfoot%
\multicolumn{7}{r}{Not Continued on Next Page}\\%
\midrule%
\endlastfoot%
absacc&Absolute accruals&\citeoa{Green2017}&Stock&Underlying&S&Accruals\\%
acc&Working capital accruals&\citeoa{Green2017}&Stock&Underlying&S&Accruals\\%
aeavol&Abnormal earnings announcement volume&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
age&\# years since first Compustat coverage&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
agr&Asset growth&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
ailliq&Absolute illiquidity&\citeoa{CaoWei-2010-OptionMarketLiquidityCommonalityOther}&Option&Underlying&O&Illiquidity\\%
amihud&Amihud illiquidity per bucket&\citeoa{Amihud2002}&Option&Bucket&B&Illiquidity\\%
atm\_civpiv&At-the-money put vs. call implied volatility&&Option&Underlying&O&Informed Trading\\%
atm\_dcivpiv&Change in atm put vs. call implied volatility&\citeoa{an2014joint}&Option&Underlying&O&Informed Trading\\%
atm\_iv&At-the-money implied volatility (maturity-specific)&&Option&Bucket&B&Risk\\%
baspread&Bid-ask spread&\citeoa{Green2017}&Stock&Underlying&S&Illiquidity\\%
bear\_beta&Bear beta&\citeoa{Lu2019}&Stock&Underlying&S&Risk\\%
beta&Beta&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
betasq&Beta squared&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
bm&Book-to-market&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
bm\_ia&Industry-adjusted book-to-market&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
bucket\_dvol&Option bucket dollar volume&&Option&Bucket&B&Illiquidity\\%
bucket\_vol&Option bucket volume&&Option&Bucket&B&Illiquidity\\%
bucket\_vol\_share&Relative option bucket volume&&Option&Bucket&B&Illiquidity\\%
C&Call indicator&&Option&Contract&I&Contract\\%
cash&Cash holdings&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
cashdebt&Cash flow to debt&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
cashpr&Cash productivity&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
cfp&Cash-flow-to-price ratio&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
cfp\_ia&Industry-adjusted cash-flow-to-price ratio&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
chatoia&Industry-adjusted change in asset turnover&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
chcsho&Change in shares outstanding&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
chempia&Industry-adjusted change in employees&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
chinv&Change in inventory&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
chmom&Change in 6-month momentum&\citeoa{Green2017}&Stock&Underlying&S&Past Prices\\%
chpmia&Industry-adjusted change in profit margin&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
chtx&Change in tax expense&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
cinvest&Corporate investment&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
civpiv&Near-the-money put vs. call implied volatility&\citeoa{Bali2009}&Option&Underlying&O&Informed Trading\\%
close&Close price&\citeoa{Eisdorfer2020}&Stock&Underlying&S&Informed Trading\\%
convind&Convertible debt indicator&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
currat&Current ratio&\citeoa{Green2017}&Stock&Underlying&S&Accruals\\%
dciv&Change in atm call implied volatility&\citeoa{an2014joint}&Option&Underlying&O&Informed Trading\\%
defrisk&Default risk&\citeoa{vasquez2020default}&Stock&Underlying&S&Risk\\%
delta&Delta&\citeoa{BuchnerKelly-2020-FactorModelOptionReturns}&Option&Contract&I&Risk\\%
demand\_pressure&Option Demand Pressure&&Option&Underlying&O&Informed Trading\\%
depr&Depreciation / PP\&E&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
divi&Dividend initiation&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
divo&Dividend omission&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
doi&Dollar open interest&&Option&Contract&I&Illiquidity\\%
dolvol&Dollar trading volume&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
dpiv&Change in atm put implied volatility&\citeoa{an2014joint}&Option&Underlying&O&Informed Trading\\%
dso&Stock vs. option volume in USD&\citeoa{roll2010s}&Option&Underlying&O&Informed Trading\\%
dvol&Dollar trading volume&\citeoa{CaoWei-2010-OptionMarketLiquidityCommonalityOther}&Option&Underlying&O&Illiquidity\\%
dy&Dividend to price&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
ear&Earnings announcement return&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
egr&Growth in common shareholder equity&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
embedlev&Embedded Leverage&\citeoa{Karakaya2014}&Option&Contract&I&Risk\\%
ep&Earnings to price&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
expiration\_month&Expiration month indicator&&Option&Contract&I&Informed Trading\\%
fric&Contribution of market frictions to expected returns&\citeoa{HirakiSkiadopoulos-2020-ContributionFrictionsExpectedReturns}&Option&Underlying&O&Frictions\\%
gamma&Gamma&\citeoa{BuchnerKelly-2020-FactorModelOptionReturns}&Option&Contract&I&Risk\\%
gammaps&Pastor and Stambaugh liquidity measure&\citeoa{Pastor2003}&Option&Bucket&B&Illiquidity\\%
gma&Gross profitability&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
grcapx&Growth in capital expenditures&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
grltnoa&Growth in long-term net operating assets&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
herf&Industry sales concentration&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
hire&Employee growth rate&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
hkurt&Historic kurtosis&&Option&Bucket&B&Risk\\%
hskew&Historic skewness&&Option&Bucket&B&Risk\\%
hvol&Historic Volatility&&Option&Bucket&B&Risk\\%
idiovol&Idiosyncratic return volatility&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
ill&Amihud Illiquidity&\citeoa{Green2017}&Stock&Underlying&S&Illiquidity\\%
illiq&Illiquidity&\citeoa{Bao2011}&Option&Bucket&B&Illiquidity\\%
ind\_10&Industry code&&Stock&Underlying&S&Industry\\%
ind\_11&Industry code&&Stock&Underlying&S&Industry\\%
ind\_12&Industry code&&Stock&Underlying&S&Industry\\%
ind\_13&Industry code&&Stock&Underlying&S&Industry\\%
ind\_14&Industry code&&Stock&Underlying&S&Industry\\%
ind\_15&Industry code&&Stock&Underlying&S&Industry\\%
ind\_16&Industry code&&Stock&Underlying&S&Industry\\%
ind\_17&Industry code&&Stock&Underlying&S&Industry\\%
ind\_18&Industry code&&Stock&Underlying&S&Industry\\%
ind\_19&Industry code&&Stock&Underlying&S&Industry\\%
ind\_20&Industry code&&Stock&Underlying&S&Industry\\%
ind\_21&Industry code&&Stock&Underlying&S&Industry\\%
ind\_22&Industry code&&Stock&Underlying&S&Industry\\%
ind\_23&Industry code&&Stock&Underlying&S&Industry\\%
ind\_24&Industry code&&Stock&Underlying&S&Industry\\%
ind\_25&Industry code&&Stock&Underlying&S&Industry\\%
ind\_26&Industry code&&Stock&Underlying&S&Industry\\%
ind\_27&Industry code&&Stock&Underlying&S&Industry\\%
ind\_28&Industry code&&Stock&Underlying&S&Industry\\%
ind\_29&Industry code&&Stock&Underlying&S&Industry\\%
ind\_30&Industry code&&Stock&Underlying&S&Industry\\%
ind\_31&Industry code&&Stock&Underlying&S&Industry\\%
ind\_32&Industry code&&Stock&Underlying&S&Industry\\%
ind\_33&Industry code&&Stock&Underlying&S&Industry\\%
ind\_34&Industry code&&Stock&Underlying&S&Industry\\%
ind\_35&Industry code&&Stock&Underlying&S&Industry\\%
ind\_36&Industry code&&Stock&Underlying&S&Industry\\%
ind\_37&Industry code&&Stock&Underlying&S&Industry\\%
ind\_38&Industry code&&Stock&Underlying&S&Industry\\%
ind\_39&Industry code&&Stock&Underlying&S&Industry\\%
ind\_40&Industry code&&Stock&Underlying&S&Industry\\%
ind\_41&Industry code&&Stock&Underlying&S&Industry\\%
ind\_42&Industry code&&Stock&Underlying&S&Industry\\%
ind\_43&Industry code&&Stock&Underlying&S&Industry\\%
ind\_44&Industry code&&Stock&Underlying&S&Industry\\%
ind\_45&Industry code&&Stock&Underlying&S&Industry\\%
ind\_46&Industry code&&Stock&Underlying&S&Industry\\%
ind\_47&Industry code&&Stock&Underlying&S&Industry\\%
ind\_48&Industry code&&Stock&Underlying&S&Industry\\%
ind\_49&Industry code&&Stock&Underlying&S&Industry\\%
ind\_50&Industry code&&Stock&Underlying&S&Industry\\%
ind\_51&Industry code&&Stock&Underlying&S&Industry\\%
ind\_52&Industry code&&Stock&Underlying&S&Industry\\%
ind\_53&Industry code&&Stock&Underlying&S&Industry\\%
ind\_54&Industry code&&Stock&Underlying&S&Industry\\%
ind\_55&Industry code&&Stock&Underlying&S&Industry\\%
ind\_56&Industry code&&Stock&Underlying&S&Industry\\%
ind\_57&Industry code&&Stock&Underlying&S&Industry\\%
ind\_58&Industry code&&Stock&Underlying&S&Industry\\%
ind\_59&Industry code&&Stock&Underlying&S&Industry\\%
ind\_60&Industry code&&Stock&Underlying&S&Industry\\%
ind\_61&Industry code&&Stock&Underlying&S&Industry\\%
ind\_62&Industry code&&Stock&Underlying&S&Industry\\%
ind\_63&Industry code&&Stock&Underlying&S&Industry\\%
ind\_64&Industry code&&Stock&Underlying&S&Industry\\%
ind\_65&Industry code&&Stock&Underlying&S&Industry\\%
ind\_66&Industry code&&Stock&Underlying&S&Industry\\%
ind\_67&Industry code&&Stock&Underlying&S&Industry\\%
ind\_68&Industry code&&Stock&Underlying&S&Industry\\%
ind\_69&Industry code&&Stock&Underlying&S&Industry\\%
ind\_70&Industry code&&Stock&Underlying&S&Industry\\%
ind\_71&Industry code&&Stock&Underlying&S&Industry\\%
ind\_72&Industry code&&Stock&Underlying&S&Industry\\%
ind\_73&Industry code&&Stock&Underlying&S&Industry\\%
ind\_74&Industry code&&Stock&Underlying&S&Industry\\%
ind\_75&Industry code&&Stock&Underlying&S&Industry\\%
ind\_76&Industry code&&Stock&Underlying&S&Industry\\%
ind\_77&Industry code&&Stock&Underlying&S&Industry\\%
ind\_78&Industry code&&Stock&Underlying&S&Industry\\%
ind\_79&Industry code&&Stock&Underlying&S&Industry\\%
ind\_80&Industry code&&Stock&Underlying&S&Industry\\%
ind\_81&Industry code&&Stock&Underlying&S&Industry\\%
ind\_82&Industry code&&Stock&Underlying&S&Industry\\%
ind\_83&Industry code&&Stock&Underlying&S&Industry\\%
ind\_84&Industry code&&Stock&Underlying&S&Industry\\%
ind\_85&Industry code&&Stock&Underlying&S&Industry\\%
ind\_86&Industry code&&Stock&Underlying&S&Industry\\%
ind\_87&Industry code&&Stock&Underlying&S&Industry\\%
ind\_88&Industry code&&Stock&Underlying&S&Industry\\%
ind\_89&Industry code&&Stock&Underlying&S&Industry\\%
ind\_90&Industry code&&Stock&Underlying&S&Industry\\%
ind\_91&Industry code&&Stock&Underlying&S&Industry\\%
ind\_92&Industry code&&Stock&Underlying&S&Industry\\%
ind\_93&Industry code&&Stock&Underlying&S&Industry\\%
ind\_94&Industry code&&Stock&Underlying&S&Industry\\%
ind\_95&Industry code&&Stock&Underlying&S&Industry\\%
ind\_96&Industry code&&Stock&Underlying&S&Industry\\%
ind\_97&Industry code&&Stock&Underlying&S&Industry\\%
ind\_98&Industry code&&Stock&Underlying&S&Industry\\%
ind\_99&Industry code&&Stock&Underlying&S&Industry\\%
indmom&Industry momentum&\citeoa{Green2017}&Stock&Underlying&S&Past Prices\\%
invest&Capital expenditures and inventory&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
iv&Implied volatility&\citeoa{BuchnerKelly-2020-FactorModelOptionReturns}&Option&Contract&I&Contract\\%
iv\_rank&Implied volatility rank vs. last year&&Option&Bucket&B&Past Prices\\%
ivarud30&Option implied variance asymmetry&\citeoa{Huang2019}&Option&Underlying&O&Risk\\%
ivd&Implied volatility duration&\citeoa{SchlagEtAl-2020-ImpliedVolatilityDurationMeasureTiming}&Option&Underlying&O&Risk\\%
ivrv&Implied volatility minus realized volatility&\citeoa{Bali2009}&Option&Underlying&O&Risk\\%
ivrv\_ratio&Implied volatility minus realized volatility ratio&&Option&Underlying&O&Risk\\%
ivslope&Implied volatility slope&\citeoa{Vasquez2017}&Option&Underlying&O&Risk\\%
ivvol&Volatility of atm volatility&\citeoa{BaltussenEtAl-2018-UnknownUnknownsUncertaintyRiskStock}&Option&Underlying&O&Risk\\%
ldso&Log changes in the stock to option volume&\citeoa{roll2010s}&Option&Underlying&O&Informed Trading\\%
lev&Leverage&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
lgr&Growth in long-term debt&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
lso&Log of stock vs. option volume&\citeoa{roll2010s}&Option&Underlying&O&Informed Trading\\%
m\_degree&Standardized strike&&Option&Contract&I&Contract\\%
maxret&Maximum daily return&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
mid&Option mid price&&Option&Contract&I&Contract\\%
modos&Modified stock vs. option volume&\citeoa{Johnson2012}&Option&Underlying&O&Informed Trading\\%
mom12m&12-month momentum&\citeoa{Green2017}&Stock&Underlying&S&Past Prices\\%
mom1m&1-month momentum&\citeoa{Green2017}&Stock&Underlying&S&Past Prices\\%
mom36m&36-month momentum&\citeoa{Green2017}&Stock&Underlying&S&Past Prices\\%
mom6m&6-month momentum&\citeoa{Green2017}&Stock&Underlying&S&Past Prices\\%
moneyness&Moneyness&&Option&Contract&I&Contract\\%
ms&Financial statement score&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
mve&Size&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
mve\_ia&Industry-adjusted size&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
nincr&Number of earnings increases&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
nopt&Number of options trading&&Option&Underlying&O&Illiquidity\\%
ocgo&Disposition Effect&\citeoa{Bergsma2020}&Option&Bucket&B&Past Prices\\%
oi&Open interest&&Option&Contract&I&Illiquidity\\%
oistock&Open interest vs. stock volume&&Option&Bucket&B&Informed Trading\\%
operprof&Operating profitability&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
optspread&Option bid-ask spread&&Option&Contract&I&Illiquidity\\%
orgcap&Organization capital&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
P&Put-flag&&Option&Contract&I&Contract\\%
pba&Proportional bid-ask spread&\citeoa{CaoWei-2010-OptionMarketLiquidityCommonalityOther}&Option&Underlying&O&Illiquidity\\%
pchcapx\_ia&Industry-adjusted \% change in capital expenditures&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
pchcurrat&\% change in current ratio&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
pchdepr&\% change in depreciation&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
pchgm\_pchsale&\% change in gross margin - \% change in sales&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
pchquick&\% change in quick ratio&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
pchsale\_pchinvt&\% change in sales - \% change in inventory&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
pchsale\_pchrect&\% change in sales - \% change in A/R&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
pchsale\_pchxsga&\% change in sales - \% change in SG\&A&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
pchsaleinv&\% change in sales-to-inventory&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
pcpv&Put-call parity deviations&\citeoa{ofek2004limited}&Option&Underlying&O&Frictions\\%
pcratio&Put-call ratio&\citeoa{Blau2014}&Option&Underlying&O&Informed Trading\\%
pctacc&Percent accruals&\citeoa{Green2017}&Stock&Underlying&S&Accruals\\%
pfht&Modified illiquidity measure based on zero returns&\citeoa{Fong2017}&Option&Bucket&B&Illiquidity\\%
pifht&An extended FHT measured based on zero returns&&Option&Bucket&B&Illiquidity\\%
pilliq&Percentage illiquidity&\citeoa{CaoWei-2010-OptionMarketLiquidityCommonalityOther}&Option&Underlying&O&Illiquidity\\%
piroll&Extended Roll's measure&\citeoa{Goyenko2009}&Option&Bucket&B&Illiquidity\\%
pricedelay&Price delay&\citeoa{Green2017}&Stock&Underlying&S&Illiquidity\\%
ps&Financial statements score (Piotroski)&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
pzeros&Illiquidity measure based on zero returns&\citeoa{Lesmond1999}&Option&Bucket&B&Illiquidity\\%
quick&Quick ratio&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
rd&R\&D increase&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
rd\_mve&R\&D to market capitalization&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
rd\_sale&R\&D to sales&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
realestate&Real estate holdings&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
retvol&Return volatility&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
rnk182&182-day risk-neutral kurtosis&&Option&Underlying&O&Risk\\%
rnk273&273-day risk-neutral kurtosis&&Option&Underlying&O&Risk\\%
rnk30&30-day risk-neutral kurtosis&&Option&Underlying&O&Risk\\%
rnk365&365-day risk-neutral kurtosis&&Option&Underlying&O&Risk\\%
rnk91&91-day risk-neutral kurtosis&&Option&Underlying&O&Risk\\%
rns182&182-day risk-neutral skewness&\citeoa{Borochin2020}&Option&Underlying&O&Risk\\%
rns273&273-day risk-neutral skewness&\citeoa{Borochin2020}&Option&Underlying&O&Risk\\%
rns30&30-day risk-neutral skewness&\citeoa{Borochin2020}&Option&Underlying&O&Risk\\%
rns365&365-day risk-neutral skewness&\citeoa{Borochin2020}&Option&Underlying&O&Risk\\%
rns91&91-day risk-neutral skewness&\citeoa{Borochin2020}&Option&Underlying&O&Risk\\%
roaq&Return on assets&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
roavol&Earnings volatility&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
roeq&Return on equity&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
roic&Return on invested capital&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
roll&Roll's measure of illiquidity&\citeoa{Roll1984}&Option&Bucket&B&Illiquidity\\%
rsup&Revenue surprise&\citeoa{Green2017}&Stock&Underlying&S&Profitability\\%
rv&Realized variance&\citeoa{Cao2019}&Stock&Underlying&S&Risk\\%
salecash&Sales to cash&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
saleinv&Sales to inventory&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
salerec&Sales to receivables&\citeoa{Green2017}&Stock&Underlying&S&Value\\%
season1&Seasonal return - 1 year historical&\citeoa{heston2008seasonality,keloharju2016return}&Stock&Underlying&S&Past Prices\\%
season2&Seasonal return - 2 year historical&\citeoa{heston2008seasonality,keloharju2016return}&Stock&Underlying&S&Past Prices\\%
season3&Seasonal return - 3 year historical&\citeoa{heston2008seasonality,keloharju2016return}&Stock&Underlying&S&Past Prices\\%
season4&Seasonal return - 4 year historical&\citeoa{heston2008seasonality,keloharju2016return}&Stock&Underlying&S&Past Prices\\%
secured&Secured debt&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
securedind&Secured debt indicator&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
sgr&Sales growth&\citeoa{Green2017}&Stock&Underlying&S&Investment\\%
shrtfee&Implied shorting fees&\citeoa{Muravyev2021}&Option&Underlying&O&Frictions\\%
sin&Sin stocks&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
skewiv&IV skew&\citeoa{XingEtAl-2010-WhatDoesIndividualOptionVolatility}&Option&Underlying&O&Informed Trading\\%
so&Stock vs. option volume&\citeoa{roll2010s}&Option&Underlying&O&Informed Trading\\%
sp&Sales to price&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
std\_dolvol&Volatility of liquidity (dollar trading volume)&\citeoa{Green2017}&Stock&Underlying&S&Illiquidity\\%
std\_turn&Volatility of liquidity (share turnover)&\citeoa{Green2017}&Stock&Underlying&S&Illiquidity\\%
stdacc&Accrual volatility&\citeoa{Green2017}&Stock&Underlying&S&Accruals\\%
stdamihud&Standard deviation of Amihud's illiquidity measure&&Option&Bucket&B&Illiquidity\\%
stdcf&Cash flow volatility&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
tang&Dept capacity/firm tangibility&\citeoa{Green2017}&Stock&Underlying&S&Quality\\%
tb&Tax income to book income&\citeoa{Green2017}&Stock&Underlying&S&Past Prices\\%
theta&Theta&\citeoa{BuchnerKelly-2020-FactorModelOptionReturns}&Option&Contract&I&Risk\\%
tlm30&Tail loss measure&\citeoa{Vilkov2012}&Option&Underlying&O&Risk\\%
toi&Total option open interest&&Option&Underlying&O&Illiquidity\\%
ttm&Time-to-maturity&&Option&Contract&I&Contract\\%
turn&Share turnover&\citeoa{Green2017}&Stock&Underlying&S&Risk\\%
turnover&Option turnover&&Option&Bucket&B&Illiquidity\\%
underlying\_return&Return of the underlying&&Stock&Underlying&S&Frictions\\%
vega&Vega&\citeoa{BuchnerKelly-2020-FactorModelOptionReturns}&Option&Contract&I&Risk\\%
vol&Trading volume in options&&Option&Underlying&O&Illiquidity\\%
volga&Volga&\citeoa{BuchnerKelly-2020-FactorModelOptionReturns}&Option&Contract&I&Risk\\%
volunc&Volatility uncertainty&\citeoa{Cao2019}&Option&Underlying&O&Risk\\%
vs\_change&Change in weighted put-call spread&\citeoa{cremers2010deviations}&Option&Underlying&O&Informed Trading\\%
vs\_level&Weighted put-call spread&\citeoa{cremers2010deviations}&Option&Underlying&O&Informed Trading\\%
zerotrade&Zero trading days&\citeoa{Green2017}&Stock&Underlying&S&Illiquidity\\\bottomrule%
%
\end{longtable}